Because your puny state is no match for the US, China or soon enough, India. Heck, even Russia in its current incarnation outmatches 80% of the EU countries.
That's it, it's that simple, conceptually.
It's basically the Articles of Confederation vs the Constitution of the United States.
Yes, it's not a pretty process, but the alternative is worse.
We can all live in La-La-Land and pretend we're hobbits living in the Shire ("Keep your nose out of trouble and no trouble will come to you") until reality comes crashing down.